13F-HR 1 emar.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: March 31, 2006 Check here if Amendment [ ]; Amendment Number: This Amendment (Check only one.): [ ]is a restatement [ ]adds new holdings entries. Institutional Investment Manager Filing this Report: Name: Babson Capital Management Address: 470 Atlantic Avenue Boston, MA 02210 13F File Number 0028-00060 The institutional manger filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: Robert J. Guerin Senior Compliance Officer Title: Phone: (617) 761-3779 Signature, Place and Date of Signing: /s/Robert J. Guerin Boston, MA May 12, 2006 Report Type (Check only one.): [X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT. List of Other Managers Reporting for this Manager: 0 FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Mangers: 0 Form 13F Information Entry Total: 2175 Form 13F Information Table Value Total: 7798161 List of Other Included Mangers: VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY----- NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE ______________ ______________ _____ ________ _______ ___ ____ ___ D AAR CORP COM 000361105 322 11300 SH SOLE 11300 0 0 D ACCO BRAND CORP COM 00081T108 8 341 SH SOLE 341 0 0 D ACCO BRAND CORP COM 00081T108 3 141 SH SOLE 0 0 141 D A C MOORE ARTS & CRAFTS INC COM 00086T103 110 6000 SH SOLE 6000 0 0 D ADE CORP/MASS COM 00089C107 5769 188400 SH SOLE 188400 0 0 D ABM INDUSTRIES INC COM 000957100 470 24500 SH SOLE 24500 0 0 D ABM INDUSTRIES INC COM 000957100 9512 496200 SH SOLE 0 0 496200 D AFLAC INC COM 001055102 4643 102880 SH SOLE 102880 0 0 D AFLAC INC COM 001055102 2859 63360 SH SOLE 0 0 63360 D AGL RESOURCES INC COM 001204106 195 5400 SH SOLE 5400 0 0 D AES CORP COM 00130H105 48 2800 SH SOLE 2800 0 0 D AMB PROPERTY CORP COM 00163T109 277 5100 SH SOLE 5100 0 0 D AMR CORP COM 001765106 87 3200 SH SOLE 3200 0 0 D ASV INC COM 001963107 197 6100 SH SOLE 6100 0 0 D AT&T INC COM 00206R102 17386 642956 SH SOLE 642956 0 0 D AT&T INC COM 00206R102 578 21376 SH SOLE 0 0 21376 D AVX CORP COM 002444107 577 32600 SH SOLE 32600 0 0 D AZZ INCORPORATED COM 002474104 10123 411500 SH SOLE 411500 0 0 D ABAXIS INC COM 002567105 1320 58200 SH SOLE 58200 0 0 D ABBOTT LABS COM 002824100 9765 229920 SH SOLE 229920 0 0 D ABBOTT LABS COM 002824100 17671 416076 SH SOLE 0 0 416076 D ABER DIAMOND COM 002893105 77 1900 SH SOLE 1900 0 0 D ABERCROMBIE & FITCH CO CL A COM 002896207 7156 122750 SH SOLE 122750 0 0 D ACTUANT CORP CL A COM 00508X203 21256 347200 SH SOLE 347200 0 0 D ADAPTEC INC COM 00651F108 830 150000 SH SOLE 150000 0 0 D ADEZA BIOMEDICAL CORP COM 006864102 1120 53000 SH SOLE 53000 0 0 D ADESA INC COM 00686U104 123 4600 SH SOLE 4600 0 0 D ADOBE SYSTEMS COM 00724F101 1558 44620 SH SOLE 44620 0 0 D ADVANCE AUTO PARTS COM 00751Y106 46 1100 SH SOLE 1100 0 0 D ADVANCED TISSUE SCIENCES COM 00755F103 0 5966 SH SOLE 5966 0 0 D ADVO INC COM 007585102 29923 935083 SH SOLE 935083 0 0 D ADVO INC COM 007585102 1308 40863 SH SOLE 0 0 40863 D ADVISORY BOARD CO COM 00762W107 16946 303852 SH SOLE 303852 0 0 D AEROFLEX INC COM 007768104 8535 621651 SH SOLE 621651 0 0 D AEROFLEX INC COM 007768104 991 72200 SH SOLE 0 0 72200 D ADVANCED MICRO DEV COM 007903107 3120 94100 SH SOLE 94100 0 0 D ADVANTA CORP CL B COM 007942204 81 2200 SH SOLE 2200 0 0 D ADVANCED ENERGY INDUSTRIES INC COM 007973100 59 4200 SH SOLE 4200 0 0 D AETNA INC COM 00817Y108 2418 49200 SH SOLE 49200 0 0 D AFFILIATED COMPUTER SVCS CL A COM 008190100 370 6200 SH SOLE 6200 0 0 D AFFILIATED COMPUTER SVCS CL A COM 008190100 10 170 SH SOLE 0 0 170 D AFFILIATED MANAGERS GRP INC COM 008252108 43 400 SH SOLE 400 0 0 D AFTERMARKET TECHNOLOGY CORP. COM 008318107 226 10000 SH SOLE 10000 0 0 D AGERE SYSTEM INC COM 00845V308 0 1 SH SOLE 1 0 0 D AGERE SYSTEM INC COM 00845V308 5 362 SH SOLE 0 0 362 D AGILENT TECHNOLOGIES INC. COM 00846U101 12846 342114 SH SOLE 342114 0 0 D AGILENT TECHNOLOGIES INC. COM 00846U101 42 1117 SH SOLE 0 0 1117 D AGNICO-EAGLE MINES LTD COM 008474108 91 3000 SH SOLE 0 0 3000 D AIR METHODS CORP COM 009128307 83 2800 SH SOLE 2800 0 0 D AIR PRODUCTS & CHEMICALS COM 009158106 4257 63352 SH SOLE 63352 0 0 D AIR PRODUCTS & CHEMICALS COM 009158106 10131 150782 SH SOLE 0 0 150482 D AIRGAS INC. 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CARIBBEAN CRUISES LTD COM V7780T103 1144 27225 SH SOLE 27225 0 0 D AMR CORP COM 001765106 475 17564 SH SOLE 17,564 D AMERICAN INTL GROUP INC DBCV 11/0 026874AP2 29382 13130000 PR SOLE X D AMGEN NOTE 031162AE0 15686 20880000 PR SOLE X D ANTHRACITE OPTICAL COM 037023108 2343 213400 SH SOLE 213,400 D BEACON POWER CORP COM 073677106 1228 735525 SH SOLE 735,525 D BIOENVISION COM 09059N100 238 33420 SH SOLE 33,420 D CALLON PETE CO DEL COM 13123X102 1575 74950 SH SOLE 74,950 D CARDIAC SCIENCE CORP COM 14141A108 1852 202942 SH SOLE 202,942 D CENTERPOINT ENERGY INC NOTE 15189TAM9 1656 1500000 PR SOLE X D CIENA CORP NOTE 171779AA9 1484 1570000 PR SOLE X D CITADEL BROADCASTING CORP NOTE 1.875% 2/1 17285TAB2 6724 8250000 PR SOLE X D CREDENCE SYS CORP NOTE 1.500% 5/1 225302AF5 2790 3000000 PR SOLE X D DEERFIELD TRIARC CAPITAL CORP COM 244572301 1350 100100 SH SOLE 100,100 D DISCOVERY HOLDING CO CL A COM 25468Y107 26 1720 SH SOLE 1,720 D ECC CAPITAL CORP COM 26826M108 114 75000 SH SOLE 75,000 D FEI CO NOTE 30241LAB5 2400 2415000 PR SOLE X D FIELDSTONE COM 31659U300 1584 134209 SH SOLE 134,209 D GENTEK INC COM NEW 37245X203 1101 53042 SH SOLE 53,042 D GRAFTECH INTERNATIONAL DBCV 1.625% 1/1 384313AB8 7113 10000000 PR SOLE X D ICOS CORPORATION NOTE 449295AB0 6227 7870000 PR SOLE X D INCO LIMITED NOTE 453258AM7 9919 7500000 PR SOLE X D ITC DELTACOM INC COM NEW 45031T401 37 35040 SH SOLE 35,040 D JETBLUE AWYS CORP NOTE 3.5% 7/1 477143AB7 23297 26250000 PR SOLE X D JETBLUE AWYS CORP COM 477143101 18751 1749195 SH SOLE 1,749,195 D LEUCADIA NATIONAL CORPORATION NOTE 3.75% 4/1 527288AX2 5645 4000000 PR SOLE X D LIBERTY GLOBAL INC COM SER A 530555101 641 31349 SH SOLE 31,349 D LIBERTY GLOBAL INC COM SER C 530555309 665 31349 SH SOLE 31,349 D LIBERTY MEDIA CORP NEW COM SER A 530718105 141 17207 SH SOLE 17,207 D LODGENET ENTMT CORP COM 540211109 2493 160000 SH SOLE 160,000 D LORAL SPACE & COMMUNICATNS L COM 543881106 3387 118223 SH SOLE 118,223 D NTL INC DEL COM 62941W101 4525 155451 SH SOLE 155,451 D NEWTEK BUSINESS SVCS INC COM 652526104 567 261450 SH SOLE 261,450 D NEXTEL COMMUNICATIONS INC NOTE 65332VAY9 5435 5435000 PR SOLE X D NORTEL NETWORKS CORPORATE NOTE 4.25% 9/0 656568AB8 2246 2380000 PR SOLE X D NOVASTAR FINANCIAL COM 669947400 2508 75000 SH SOLE 75,000 D OWENS ILL INC PFD CONV $.01 690768502 2958 85560 PR SOLE X D PEPSIAMERICAS COM 71343P200 15020 614321 SH SOLE 614,321 D SAXON CAPITAL COM 80556T106 1131 108300 SH SOLE 108,300 D SCI SYSTEMS INC NOTE 783890AF3 7577 7830000 PR SOLE X D SOLECTRON CORPORATION NOTE 5/0 834182AK3 1324 2380000 PR SOLE X D SPX CORPORATION NOTE 2/0 784635AD6 13225 20000000 PR SOLE X D SUN HEALTHCARE GROUP INC COM NEW 866933401 152 20157 SH SOLE 20,157 D SUPREME INDUSTRIES INC CL A 868607102 2079 279864 SH SOLE 279,864 D TRANSMONTAIGNE INC COM 893934109 10277 1047591 SH SOLE 1,047,591 D TRIQUINT SEMICONDUCTOR NOTE 4.000% 6/0 89674KAB9 4998 5130000 PR SOLE X D UNIVERSAL HEALTH SERVICES DBCV 0.426% 6/2 913903AL4 4378 7500000 PR SOLE X D VERITAS SOFTWARE CORPORATION NOTE 0.250% 8/0 923436AD1 9869 10070000 PR SOLE X D VERIZON COMMUNICATIONS INC COM 92343V104 1019 29906 SH SOLE 29,906 D WHEELING PITTSBURGH CORP COM NEW 963142302 495 26980 SH SOLE 26,980 D WILLBROS GROUP INC COM 969199108 150 7372 SH SOLE 7,372 S REPORT SUMMARY 2175 DATA RECORDS 7798161 May 12, 2006 Document Control-Filing Desk Securities & Exchange Commission 450 Fifth Street, N.W. Washington D.C. 20549-0104 Dear Sir or Madam: Pursuant to Section 13(f) of the Securities Exchange Act of 1934, I am filing electronically on behalf of Babson Capital Management LLC ("Babson") Form 13F for the quarter ending March 31, 2006. Babson has indicated that it exercises "sole" investment discretion with respect to the securities positions reported in its Form 13F. Nevertheless, such positions shall also be deemed reported on behalf of MassMutual to the extent that MassMutual may be deemed to "share" investment discretion over the positions as a result of its ownership interest in Babson. If you should have any questions or comments regarding this matter please call me at (617) 761-3779. Sincerely, Robert J. Guerin Senior Compliance Officer